Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0773 |
| Annualized Std Dev | 0.2852 |
| Annualized Sharpe (Rf=0%) | 0.2710 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3873.0000 |
| NAs | 1.0000 |
| Minimum | -0.1782 |
| Quartile 1 | -0.0079 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0090 |
| Maximum | 0.1536 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0003 |
| Stdev | 0.0180 |
| Skewness | -0.3387 |
| Kurtosis | 9.9019 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0130 |
| Gain Deviation | 0.0126 |
| Loss Deviation | 0.0140 |
| Downside Deviation (MAR=210%) | 0.0173 |
| Downside Deviation (Rf=0%) | 0.0128 |
| Downside Deviation (0%) | 0.0128 |
| Maximum Drawdown | 0.6525 |
| Historical VaR (95%) | -0.0272 |
| Historical ES (95%) | -0.0430 |
| Modified VaR (95%) | -0.0272 |
| Modified ES (95%) | -0.0492 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-20 | 2009-03-09 | 2013-12-18 | -0.6525 | 1616 | 412 | 1204 |
| 2020-02-21 | 2020-03-23 | 2020-10-02 | -0.5234 | 157 | 22 | 135 |
| 2018-01-24 | 2018-12-24 | 2020-01-23 | -0.3803 | 503 | 232 | 271 |
| 2006-04-20 | 2006-07-18 | 2007-04-20 | -0.2688 | 252 | 62 | 190 |
| 2015-12-02 | 2016-02-11 | 2016-04-13 | -0.2153 | 91 | 49 | 42 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.6 | 1.8 | -1 | 0.2 |
| 2006 | -0.6 | 0.8 | -0.4 | 0.6 | 1.1 | -0.3 | -0.6 | 0.9 | -1.5 | -1 | -1 | -0.8 | -2.7 |
| 2007 | 2.2 | 0.2 | 0 | -0.1 | 1 | -0.1 | 0.7 | 1.6 | 3.4 | -3.4 | 0.6 | -0.7 | 5.3 |
| 2008 | 2.6 | -2.3 | 3.6 | 2.1 | -0.1 | -0.8 | -0.5 | -1.4 | -3.2 | 3.2 | -10.9 | 2.9 | -5.5 |
| 2009 | -4.7 | -0.4 | 1.7 | -1.4 | 3.6 | 0.6 | 1.1 | -2.9 | -2.8 | -2.5 | 1.3 | -0.7 | -7.1 |
| 2010 | 0.5 | 2.3 | 0.9 | -1.9 | -3.9 | -1 | 0.4 | 3.8 | 0.3 | -0.5 | 2.7 | 0.1 | 3.5 |
| 2011 | 2.1 | -2.1 | 1.3 | 0.4 | -3.5 | 1.7 | -0.5 | -3 | -0.9 | -4.3 | 1 | -0.4 | -8.2 |
| 2012 | 2.3 | 0.6 | -0.4 | -0.5 | -2.8 | 4.4 | -1.8 | 1.2 | 0 | 1.8 | 0.1 | 2.5 | 7.5 |
| 2013 | 0.1 | 0.2 | -1.9 | -2.4 | -1 | 1.1 | 1.9 | -1.4 | 1.6 | 0 | 0.3 | 0.4 | -1.2 |
| 2014 | 0.2 | -0.4 | 0.6 | 0 | -0.4 | 1.3 | 0.2 | 0 | -1.7 | 1.2 | -2.4 | 0 | -1.6 |
| 2015 | -1.1 | -0.5 | -0.6 | 0.7 | 0.4 | 0.7 | 0.7 | -2.2 | 1.3 | 1.3 | 1 | -0.8 | 0.8 |
| 2016 | -0.7 | 2.2 | 0.7 | -1.1 | 0.3 | 0.4 | -0.7 | -0.2 | 0.6 | -1 | 0.2 | -1.1 | -0.4 |
| 2017 | -0.2 | 2.4 | 0.6 | 0.6 | 1.7 | 1.1 | 0.2 | 0.7 | 0.4 | -0.1 | -0.9 | -0.6 | 6.1 |
| 2018 | 0.1 | -0.9 | 1.5 | 0.7 | 0.4 | 0.7 | -1.3 | 0.1 | -0.6 | 3.7 | 0.5 | 0.8 | 5.7 |
| 2019 | 0.5 | 0.5 | 1.4 | -1 | -1.4 | 0.4 | -0.9 | 0.6 | -1.5 | 2.7 | -0.7 | -0.1 | 0.5 |
| 2020 | -2.1 | -2.8 | -8 | -2.9 | 1 | -1.9 | -0.8 | 3 | 1.1 | -1 | -0.2 | -0.5 | -14.5 |
| 2021 | 2.2 | 2.8 | 0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.6 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
